This invention relates generally to computer implemented modeling techniques.
Computer implemented modeling involves execution and/or development of mathematical models of complex systems or processes. One type of modeling involves risk evaluation. One particular type risk evaluation involves calculating the expected market risk of a portfolio of one or more financial assets such as financial instruments or financial positions, insurance positions, etc. to various scenarios.
Multi-factor risk modeling is a type of model used to model the risk of a portfolio which has securities with exposure to various risk factors. In such a multi-factor risk model, a modeling algorithm estimates tracking error volatility (TEV) and other risks measures based on a set of two or more risk factors. The set of risk factors are implemented in software by hard coding into a software program using a programming language. The computer implemented modeling algorithm is typically executed using one or more server computer systems that access data from a database.